Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0058
Annualized Std Dev 0.1386
Annualized Sharpe (Rf=0%) -0.0416

Row

Daily Return Statistics

Close
Observations 5535.0000
NAs 1.0000
Minimum -0.1251
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.0744
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0087
Skewness -0.8067
Kurtosis 19.4071

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0062
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.5167
Historical VaR (95%) -0.0121
Historical ES (95%) -0.0221
Modified VaR (95%) -0.0128
Modified ES (95%) -0.0193
From Trough To Depth Length To Trough Recovery
1999-04-22 2008-12-12 2012-07-06 -0.5167 3323 2426 897
2012-12-04 2020-03-23 NA -0.3789 2088 1837 NA
1999-03-24 1999-04-12 1999-04-21 -0.0943 19 12 7
2012-08-02 2012-08-22 2012-09-27 -0.0545 40 15 25
2012-10-02 2012-10-15 2012-11-28 -0.0465 39 10 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA 1.3 -0.9 0.5 1.4 1.5 -0.5 -0.5 -0.5 0 1.8 4.1
2000 0 -1.2 1.8 0.6 1.8 0.6 0 0.6 -0.6 1.2 -0.6 0.1 4.3
2001 -0.2 -0.1 0.6 0.2 -0.2 -0.1 1.1 0 0.1 0.2 0.2 1 2.9
2002 0.2 0 0.6 0.6 0.2 0.4 0.6 -0.1 0.1 0.4 0.2 0.8 4.1
2003 0.2 0.5 0.2 0.6 0.4 0.4 -1.4 0 0.1 0.4 -0.1 0 1.3
2004 0 -0.1 0.1 0.8 -0.2 0.9 0.5 0.2 -0.2 -0.1 0.1 0.2 2.4
2005 -0.1 -0.1 1.5 0.3 0.6 0 -0.1 0.4 0.4 0.6 -0.8 0.1 2.8
2006 0.1 -0.4 -0.4 0.2 0.2 0.2 0.6 0.2 0.1 0.3 0.2 1 2.1
2007 0 0.4 0.2 -0.4 -0.4 0.2 -0.3 1.5 0.2 -0.7 0.6 0.3 1.7
2008 -0.4 -1.8 0.5 0.3 -0.4 0 0 -0.4 3.6 0.7 -0.5 1.3 2.8
2009 -0.2 1.1 0.2 0.3 -0.1 0.4 0.4 0.4 0 -0.2 1 -0.2 3.1
2010 0.1 0 0.2 -0.5 0.4 0.4 0 0.4 0.8 -1.1 -1.1 1.5 1.2
2011 0.3 0.1 0.3 0.2 0.4 0.7 1.5 0 -0.3 -0.3 -0.1 0.2 3.1
2012 0.6 0.1 0.3 0.1 0.1 0.3 0.4 -0.1 0.9 0.5 0.5 0.7 4.4
2013 -0.1 -0.4 0.4 0.7 -3.2 1 -1.2 0.1 0 -1.1 -0.3 0.2 -3.8
2014 0.6 0.2 -0.4 1.4 -0.4 0 0.7 0.2 0.4 -0.4 0.4 0.4 3
2015 0.9 0.4 0.1 -0.4 0 -0.5 0.1 -0.1 -0.1 -0.4 0.1 0.4 0.7
2016 0.2 0.4 0.4 0.5 1.1 0.6 -0.5 0.1 -0.1 0.4 -0.2 1.1 4.1
2017 -0.1 -0.3 0 -0.2 0.4 -0.3 0.7 0 -1.1 0.5 0.1 -0.2 -0.6
2018 0.2 -0.2 0.2 0.1 -0.1 0.7 -0.5 0.1 -0.1 1.4 -0.1 -0.3 1.4
2019 0.3 -0.3 0 0 0.2 0 0.4 0.2 0.3 0.1 -0.2 0.2 1.2
2020 0.1 -0.8 -2.7 0.8 -0.2 0.9 0.7 0 0.5 -2.6 -0.2 1 -2.8
2021 0.7 0.3 -0.2 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-03-17  14.9 SPY    130. -0.0043   0.0075   0.0593       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-03-18  15   SPY    132.  0.0161   0.0124   0.0774       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-03-19  15.2 SPY    130. -0.017    0.0049   0.0508       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-03-22  15   SPY    130.  0.0019  -0.0098   0.0458       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-03-23  15.2 SPY    126. -0.0289  -0.0347  -0.0108       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-03-24  15.1 SPY    127.  0.0057  -0.025   -0.0047       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart